Asymmetric mean reversion of Bitcoin price returns

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Corbet, S; Katsiampa, Paraskevi;

© 2018 Elsevier Inc. Non-linearity is characterised by an asymmetric mean-reverting property, which has been found to be inherent in the short-term return dynamics of stocks. In this paper, we explore as to whether cryptocurrency returns, as represented by Bitcoin, exhi... View more
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